分红动因、投资者信念互动与市场反应方式变迁

20年来，中国证监会出于凸显价值投资收益、淡化股价波动回报进而培养健康投资理念的考量，颁布了一系列上市公司分红监管政策。本项目认为，分红现象本身并不能构成企业的价值信号，分红的动因才蕴含了企业的价值信息，机构投资者有能力、有动机透过分红现象看到上市公司后台的分红动因所蕴含的公司价值信息，按照分红动因而非分红现象构建投资信念，再通过市场信念互动将投资信念传递给中小投资者。我们拟以2008年的“半强制分红政策”和2013年的“差异化分红政策”为关键政策节点，借助针对政策冲击前后对比的准实验研究方法，实证观测分红监管政策背景下，上市公司分红动因对机构投资者投资行为模式的影响，机构投资者与中小投资者关于投资方式异质性信念之间的互动，以及这种互动所导致的市场整体针对分红反应方式的长期变化。研究结论可以为监管部门寻找逻辑依据，为今后的监管方向奠定经验基础，同时也为投资者提供价值投资方面的指导。

In the past 20 years, the China securities regulatory commission (CSRC) has issued a series of regulatory policies on dividends of listed companies, urging them to pay dividends, in order to highlight the value of investment returns, dilute the volatility of stock price returns and cultivate the concept of healthy investment. What is the implementation effect of these policies? According to this project, the phenomenon of dividends itself cannot constitute the value signal of the enterprise, and the motivation of dividends contains the value information of the enterprise. Institutional investors have the ability and motivation to see the corporate value information contained in the motivation of dividends in the background of listed companies through the phenomenon of dividends, construct investment beliefs according to the motivation of dividends rather than the phenomenon of dividends, and then transmit the investment beliefs to small and medium-sized investors through the interaction of market beliefs. This transmission process may be the key to the success of regulatory policy. Research to "half a mandatory dividend policy" in 2008 and 2013 "differential dividend policy" as the key policy node, using for comparison before and after the policy impact of quasi-experimental research methods, empirical observation under the background of regulatory policy of share out bonus, dividends of listed companies incentive models of investment behavior of institutional investors, institutional investors and small and medium-sized investors about investment way interaction between heterogeneous beliefs, as well as the market as a whole, as a result of the interaction between the reaction way of share out bonus and the long-term change. The conclusion of the study can provide a logical basis for the policy reform of the regulatory authorities, lay an empirical foundation for the future direction of supervision, and provide guidance and reference for institutional investors and other small and medium investors in terms of value investment.